Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0063
Annualized Std Dev 0.2346
Annualized Sharpe (Rf=0%) 0.0270

Row

Daily Return Statistics

Close
Observations 3484.0000
NAs 1.0000
Minimum -0.1319
Quartile 1 -0.0056
Median 0.0008
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0066
Maximum 0.1382
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0148
Skewness -0.2348
Kurtosis 13.4415

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0105
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6216
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0368
Modified VaR (95%) -0.0211
Modified ES (95%) -0.0264
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2021-02-16 -0.6216 3345 339 3006
2007-07-17 2007-08-20 2007-10-10 -0.1279 52 22 30
2007-10-15 2007-10-19 2007-10-26 -0.0438 10 5 5
2021-02-17 2021-02-26 2021-03-17 -0.0382 21 8 13
2007-06-05 2007-06-07 2007-07-02 -0.0371 15 3 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.3 -0.7 -1.1 -0.3 0.8 0.1 -2 0 -0.5 -3.8
2008 1 -1.9 2.6 -0.5 0.7 -1.3 -2.1 -2.2 0.8 2 -8.6 1.7 -8.1
2009 -0.5 -0.1 1.4 1.1 1.8 2.1 1.4 -2.6 -3 -3.4 3 -0.5 0.6
2010 2 0.9 1.9 -0.6 -1.1 1.5 -0.3 3.4 0.9 -0.6 3 0.3 11.8
2011 2.8 -0.7 0.4 0.6 -2.3 0.8 -1.4 -1 -2.8 -3 -1 0.6 -6.9
2012 1.5 0.8 0.9 0.9 -2.4 3.5 0.3 0.9 0.5 1 0.1 1.2 9.4
2013 0.6 0 -1.4 -0.6 -2.1 0.7 1.2 -0.9 0.5 -0.6 0.2 0.4 -1.9
2014 -1.4 0.3 0.8 0.4 0 0.8 -0.7 -0.2 -1.1 1.6 0.1 -0.8 -0.2
2015 -1.3 0.2 0.5 0.7 -0.2 0.6 0.4 -3 0.4 0 1 -0.9 -1.8
2016 -0.1 2.4 -1 -0.3 -0.1 0.4 -0.5 0.7 0.5 -0.4 -0.2 0.3 1.5
2017 0.4 1 -0.3 0.2 0.5 0.1 0.5 0.3 0.7 0.4 -0.2 0.1 3.8
2018 0.2 -1.3 1.1 -0.3 0.8 0.7 -0.4 -0.6 0.3 1.5 -0.4 0.3 1.7
2019 0 0.4 1.4 -0.5 -0.9 0.5 -0.3 0.4 -0.9 0.9 -0.7 0.5 0.7
2020 -1.6 -0.8 -4.4 -2.1 2.3 0.4 -1.9 0.3 0.6 -0.6 2.1 -0.7 -6.3
2021 1.5 1.9 0.4 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-04-26  32.7 SPY    150.  0.0011   0.0164   0.0475   0.0519    0.148    0.309    0.368 GLD    66.9 -0.015  -0.0098 
2 2007-04-27  32.7 SPY    150. -0.0008   0.0061   0.0544   0.0518    0.147    0.309    0.366 GLD    67.6  0.0103 -0.0166 
3 2007-04-30  32.6 SPY    148. -0.0083   0.0016   0.0445   0.0439    0.132    0.297    0.381 GLD    67.1 -0.007  -0.0171 
4 2007-05-01  32.5 SPY    149.  0.0026   0.0037   0.047    0.0412    0.131    0.318    0.391 GLD    66.7 -0.006  -0.0154 
5 2007-05-02  32.7 SPY    150.  0.0059   0.0004   0.0519   0.0403    0.147    0.337    0.386 GLD    66.7 -0.0004 -0.0181 
6 2007-05-03  32.7 SPY    150.  0.0054   0.0047   0.0463   0.0397    0.144    0.355    0.377 GLD    67.5  0.0125  0.00930
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart